Composite Equity ETF Analysis (8/10/2015)

While I continue to update the ICC Valuation methodology I plan to post more of the custom charts I use to gain insight into current market structure, momentum, and relative value. 

Updated Composite ETF List


cat = {
       'Large Cap'             :['SPY'],
       'Mid Cap'               :['MDY'], 
       'Small Cap'             :['IWM'],
       'Global Equity'         :['VEU','ACWI','VXUS'],
       'AsiaPac Equity'        :['EWT','EWY','EWA','EWS',\
       							'AAXJ','FXI','EWH','EWM',\
                            	'EPI','INDA','RSX'],
       'Europe Equity'         :['FEZ','EZU','VGK','HEDJ',\
       							'EWU','EWI','EWP','EWQ',\
      							 'EWL','EWD'],
       'Emerging | Frontier'   :['EWZ','EWW','ECH','GAF',\
       							'FM','EEM','VWO'],
       'Real Estate'           :['RWO','RWX','RWR','IYR','VNQ'],
       'Consumer Discretionary':['XLY','XRT'],
       'Consumer Staples'      :['XLP','FXG'],                         
       'Energy'                :['XLE','IPW','XOP'],                   
       'Financials'            :['XLF','KBE','KIE','IYG','KRE'],
       'Healthcare'            :['XLV','XBI','IBB'],
       'Industrial'            :['XLI','IYT'],
       'Materials'             :['XLB','XHB','XME','IGE','MOO'],
       'Technology'            :['XLK','SMH','HACK','FDN'],
       'Telecom'               :['IYZ'],                            
       'Utilities'             :['IDU','XLU']
        }  

Best vs Worst Performing ETF Composite L/252 Days

Best vs Worst Performing ETF Composite L/63 Days

Best vs Worst Performing ETF Composite L/21 Days

BarPlot Cumulative Returns L/4 Weeks

Z - Score Average Risk-Adjusted Returns L/21 Days